A Buy-Side Guide to Regulatory and Transactional Issues Related To Derivatives and Repurchase Agreements

More on Proposed Repo Benchmark Rates

In a previous post we summarized the FRBNY’s announcement that it was considering publishing three benchmark repo rates. Recently the Liberty Street Economics blog (available on the FRBNY’s website) explored the goals of the proposed benchmarks as well as how each benchmark would have performed over the period from August 2014 to October 2016.

Highlights from the post include:

Bi-lateral repo is not included in the proposed benchmarks “since robust data on the bilateral repo market are currently unavailable.”

The tri-party market (excluding GCF repo and Fed repo) represents approximately two-thirds of the total tri-party repo market.

GCF repo is the smallest segment, representing about 10% on average while the Fed’s repo program represents “slightly more than 20 percent” on average.

The three benchmark rates tracked each other exactly approximately 60% of the time in the sample period.

In those periods in which they did not track each other the rate including GCF repo was generally slightly higher while the rate including Fed repo was slightly lower.